Statistics and control of random processes
著者
書誌事項
Statistics and control of random processes
（Proceedings of the Steklov Institute of Mathematics, v. 202,
American Mathematical Society, c1995
- タイトル別名
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Статистика и управление случайными процессами
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注記
No. in original Russian series statement: tom 202 (1993)
Includes bibliographies
収録内容
- OR:Statistika i upravlenie sluchaǐnymi prot︠s︡essami
内容説明・目次
内容説明
This book contains papers by participants in two seminars, one on martingales and statistics of stochastic processes, and one on sequential analysis, both of which were held at the Steklov Institute of the Russian Academy of Sciences. The papers develop the concepts of martingales and seminmartingales and stochastic calculus for them, as well as their applications in statistics and control of stochastic processes. The class of semimartingales - that is, the class of all processes which can be represented as a sum of a martingale and a process with bounded variation - is rather large. It contains such important processes as Brownian motion, Poisson processes, solutions of stochastic differential equations, and others. The papers treat theoretical aspects of statistics of stochastic processes as well as specific models of stochastic processes from the standpoint of their statistics and control. The collection is intended for undergraduate and graduate students and researchers in probability theory and mathematical statistics.
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